Title: The reaction of the Japanese REIT market to stock prices and interest rates: a comparison of the periods before and after Abenomics
Author: Takayasu Ito
Address: School of Commerce, Meiji University, Chiyoda-ku, Tokyo 101-8301, Japan
Abstract: This paper focuses on the impact of stock prices and interest rates on the Real Estate Investment Trust (REIT) market in Japan by comparing the periods before and after Abenomics. The results show that stock prices have a positive impact, indicating that the wealth effect holds and the stock market leads the REIT market. Before the introduction of Abenomics, the positive impact of stock prices is larger. This is consistent with the fact that REIT was sometimes actively purchased when the stock market showed weakness after the introduction of Abenomics. The negative impact of interest rates indicates that an increase causes a decline in the REIT price. After the introduction of Abenomics, the negative impact of interest rates is larger for the maturity of 10 years. This is consistent with the fact that the Bank of Japan (BOJ) started to buy Japanese Government Bond (JGB) aggressively to flatten the yield curves of both JGB and swap through quantitative and qualitative easing.
Keywords: Abenomics; interest rate swaps; JGB; Japanese Government Bonds; REIT; Real Estate Investment Trust; stock prices; Japan; interest rates; wealth effect; stock markets; quantitative easing; qualitative easing.
Int. J. of Monetary Economics and Finance, 2016 Vol.9, No.4, pp.319 - 329
Available online: 24 Oct 2016